English, Article, Journal or magazine article edition: Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels Olivier SCAILLET

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  • preprint
Language
  • English

Edition details

Title
  • Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels
Author
  • Olivier SCAILLET
Physical Description
  • preprint
Notes
  • This paper introduces two new nonparametric estimators for probability density functions which have support on the non-negative half-line. These kernel estimators are based on some inverse Gaussian and reciprocal inverse Gaussian probability density functions used as kernels. We show that they share the same properties as those of gamma kernel estimators : they are free of boundary bias, always non-negative, and achieve the optimal rate of convergence for the mean integrated squarred error. Extensions to regression curve estimation and hazard rate estimation under random censoring are briefly discussed. Monte Carlo results concerning finite sample properties are reported for different distributions.
  • Boundary bias; Inverse Gaussian kernel; Reciprocal inverse Gaussian kernel; Gamma kernel; Variable kernel; Density estimation
  • RePEc:ctl:louvir:2001017
Language
  • English
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